Recent releases of Microsoft Office 2016 for Mac have been integrated pretty tightly with the cloud. However, I’ll leave this post here for those for whom this feature doesn’t work correctly - or in case Microsoft ever remove or switch-around this feature. If you open a file in your OneDrive folder via Finder, the relevant Office app (Word, Excel, PowerPoint) will now automatically activate the AutoSave switch, and you can share/co-edit with others without a second thought. Update May 2018: It appears that the Office 2016 apps on Mac now automatically do what’s described below, so this fix is no longer necessary. How to open Sharepoint cloud Office files directly via Finder (OneDrive for Business/Microsoft Office 365)
